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Conditional multifactor asset pricing model and market anomalies

Ranjan Dash, Saumya; Mahakud, Jitendra - In: Journal of Indian Business Research 5 (2013) 4, pp. 271-294

conditional specifications is able to capture the book-to-market equity, liquidity and medium-term momentum effect. The size …

Persistent link: https://www.econbiz.de/10014875196

Do asset pricing models explain size, and liquidity effects? : the case of an emerging stock market

Dash, Saumya Ranjan; Mahakud, Jitendra - In: Journal of emerging market finance 13 (2014) 3, pp. 217-251

Persistent link: https://www.econbiz.de/10010492038

Six-factor plus intellectual capital in the capital asset pricing model and excess stock return : empirical evidence in emerging stock markets

Maharani, Astrid; Narsa, I Made - In: Cogent economics & finance 11 (2023) 2, pp. 1-17

This study expands previous research by adding intellectual capital to the capital asset pricing model and deepening the measurement of intellectual capital using more comprehensive proxies. This study is novel in that it is related to evaluation according to market developments using tests on...

Persistent link: https://www.econbiz.de/10014502990

Dividend sensitivity to economic factors, stock valuation, and long-run risk

Bergeron, Claude - In: Finance research letters 10 (2013) 4, pp. 184-195

Persistent link: https://www.econbiz.de/10010252342

Multifactor conditional equity premium model : evidence from China's stock market

Cheng, Hang; Guo, Hui; Shi, Yongdong - In: Journal of banking and finance 161 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015065800

The effects of multilateral trading systems on risk and return in equity markets

Ramiah, Vikash; Moosa, Imad A.; Huy Nguyen Anh Pham; … - In: Applied economics 47 (2015) 43/45, pp. 4777-4792

Persistent link: https://www.econbiz.de/10011380787

Pricing of time-varying liquidity risk in Finnish stock market : new evidence

Ahmed, Sheraz; Hirvonen, Jani; Hussain, Syed Mujahid - In: The European journal of finance 25 (2019) 13, pp. 1147-1165

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Cross-sectional stock returns in the UK market : the role of liquidity risk

Hwang, Soosung; Lu, Chensheng - In: Forecasting expected returns in the financial markets, (pp. 191-213). 2007

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Betting against beta

Frazzinia, Andrea; Pedersen, Lasse Heje - In: Journal of financial economics 111 (2014) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10010255547

Investor heterogeneity and commonality in stock return and liquidity

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Persistent link: https://www.econbiz.de/10011532310

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